央妈二代

了解央行，从Bagehot（白志浩）读起。这位《经济学人》的总编在1873年写的小册子《郎博德街》是此后一百多年央行家的行动手册。朗博德街是伦敦的银行街，当年的金融市场还比较简单，主要是商业银行和储蓄机构。流动性危机会传染，一家银行挤兑，另一家也可能会，撒手不管就是金融危机。所以作为熊孩子们的银行需要央妈，危机时刻她可以出手相救，央行因此成了最后借款人，英文里叫作Lender
of Last
Resort，直接翻译就是“最后可以求助的借款人”。与此同时，这种保护却不能变成娇惯纵容，鼓励投机，而是需要高高在上，在救与不救之间保留一丝暧昧，让市场摸不着猜不透。为获得短期支持，问题银行必须拿出一定担保，并且需要支付高于市场的利率，作为银行对风险管控不力的惩罚。这就是所谓的“白志浩法则”。

之所以发生这一切，在经济学家Perry
Mehrling看来，是因为我们错误地认识了当前的金融体系和央行的角色。如果说过去，央行是一个高高在上的深不可测的严父，等待流动性紧缺的机构上门求情取款，二代的央妈发现这种主动上门的情况越来越少，市场流动性似乎十分充足，银行通过种种货币市场和回购保证了充足的流动性，信贷扩张之际，市场一片繁荣，流动性成了最廉价资源。相比之下，央妈日益门庭冷落。现在的美联储，不得不放低身段参与到市场当中。自此，央行从最后借款人，变成了最后的零售商，作者将其叫做Dealder
of Last
Resort，亲自到市场中买债券，卖债券，影响价格，进而干预利率。二战期间，美联储迫不得已成了联邦政府的券商，通过大举干预国债市场，稳定国债利率。联储的独立性此后虽有增加，但是因为美国巨大的国债市场，干预利率的最好方式就是在债券市场上亲自出马。另一个原因是，联邦基金利率并不能从金融市场传递给货币市场，通常情况下，回购利率都低于联邦基金利率，而联邦基金利率则低于欧洲美元的利率，但利差很小，只有几个基点。美联储只有直接介入货币市场和资产市场，才会对市场利率产生影响。

In this regard, the decision of both the economics and finance
disciplines to abstract from the monetary plumbing behind the
walls, the better to advance scientific understanding on other
dimensions, has had fateful consequences for our ability to sustain
rational discourse in the face of a systemic plumbing failure. If
we don't educate ourselves about how the system works when it is
working, we will have no framework for understanding what is wrong
when it fails.

These simple examples show how relaxation of the daily survival
constraint depends on credit; some people can enjoy cash outflows
greater than cash inflows only because other people are willing to
enjoy cash inflows greater than cash outflows, and vice versa.

Typically, the repo rate is less than the federal funds rate, and
the federal funds rate is less than the Eurodollar rate, but the
spreads are very small, just a few basis points.

Knowing that the Fed will intervene to stabilize the federal funds
rate, dealers rationally shift their riskreturn calculus in favor
of taking larger positions in the term structure arbitrage, and
such a shift can be expected to move the structure of asset prices
closer to the EH theoretical ideal, but not all the way.

It is not that modern policymakers are unconcerned with liquidity
but rather that they have convinced themselves, or rather have been
convinced by economists, that matters of liquidity (the purview of
an antiquated money view) can be conceptually as well as
operationally separated from matters of economic stabilization (the
purview of the modern economics view). The present crisis has posed
a rather decisive challenge to this neat division of intellectual
labor, but inevitably past habits of thought persist and it is
these habits that must be confronted if we are to learn the lessons
that the crisis has to teach us.

Time and risk are now explicitly modeled, but that is the only
substantive change; abstraction from monetary plumbing remains of
the essence, even more so today than in the past through the
convenient analytical assumption of a so-called representative
agent.

In a money view perspective, if the Fed fails to raise interest
rates in the face of a credit-fueled asset price bubble, the bubble
will feed on itself, growing ever larger and having ever greater
distorting effects, until it bursts.

The money view emphasizes the inherent instability of a credit
system driven by the private profit motive, but the problem is made
worse when the Fed adopts a policy rule that denies any
responsibility for preventing a bubble.

Abstracting from money may make our economic theory easier, but it
does not make our economic policy better.

At its core, our monetary system is a dealer system that supports
the liquidity of our securities markets, and the Fed serves as
dealer-in-chief not only in wartime but also in peacetime, and
especially in financial crisis time.

First currency swaps, then interest rate swaps, and then credit
default swaps were introduced, and the eventual result was
transformation of the rigid and highly regulated financial system
that we had inherited from Depression-era reform.

A rehabilitation of the nineteenth-century money view is, I have
suggested, the place to start, but it is not the place to end. The
concept of liquidity that seemed appropriate for Bagehot is no
longer appropriate for us. Long ago we switched over from Bagehot's
emphasis on the "self-liquidating" character of certain short-term
commercial debts to more appropriate emphasis on the "shiftability"
of certain securities in liquid markets. But we have not yet
switched over from Bagehot's conception of the central bank as
"lender of last resort" to the more appropriate modern conception
of it as "dealer of last resort."

The Fed intervened in the market for Treasury repo with the goal of
stabilizing the federal funds rate at some target, and that was
all.

Other repo rates and the Eurodollar rate got stabilized through
money market arbitrage by private dealers, and the private money
market then served as the source of funding liquidity for dealer
operations in securities of all kinds, producing the two-way dealer
markets that are the source of market liquidity.

That is how Martin thought the system should work, and how in fact
it eventually did work, until it stopped working in August
2007.

From a long historical point of view, the central lesson of the
crisis is that the American system requires the Fed's support as
dealer of last resort, not just in the money market (as emphasized
by Martin) but also in the capital market, and not just for
Treasury securities (as emphasized by Martin) but also for private
securities.

The practical intertwining of money markets and capital markets is
the defining institutional feature of the American system, and that
feature requires a similarly integrated backstop by the central
bank.

Solvency risk was about the prospect of loan default, and it was
handled by a buffer of bank capital, backstopped by deposit
insurance at the FDIC. Liquidity risk was about the prospect of
deposit withdrawals, and it was handled by a buffer of cash
reserves, backstopped by the discount window at the Fed. This is
the model of banking that was in the back of most of our minds as
we looked at the new shadow banking system, and from this vantage
point it seemed clear that the new system involved exposure to
familiar solvency and liquidity risks, but those familiar exposures
were handled differently. The important thing is that in the shadow
banking system neither solvency risk nor liquidity risk was
backstopped in any direct way by the government.

Lender of last resort to the traditional banking system. Like the
parents of the shadow banks, the Fed professed not to be worried
about the quality of the collateral, and made room for some of it
at the discount window by relaxing collateral requirements and by
expanding eligibility requirements.

Finally, in September 2008, with the collapse of Lehman Brothers
and then AIG, even unsecured money market funding froze up.

The resulting scramble for funding drove LIBOR rates to
unprecedented spreads over federal funds rates, and the Fed
responded by extending lender of last resort even further,
accepting a wider selection of collateral from a wider selection of
counterparties.

From a Jimmy Stewart perspective, this final expansion of the Fed's
role, dramatic though it was, seemed to be nothing more than an
extension of traditional lender of last resort support. The only
difference was the scale of the lending, which meant that the Fed
could no longer fund its lending simply by liquidating its holding
of Treasury bills.

The second set shows how the shadow bank parents stepped in when
secured funding dried up because of concern about collateral
values.

However, September 2008 was the moment when the Fed moved from
lender of last resort to dealer of last resort, in effect taking
the collapsing whole sale money market onto its own balance
sheet.

When liquidity risk was thought to be the issue, it was the Fed's
problem; when solvency risk was thought to be the issue, it became
the Treasury's problem.

In both respects, the fact that the shadow banking system had
collapsed onto the traditional banking system made it seem as
though the problem was now just a traditional banking problem.

This financial crisis is not merely a subprime mortgage crisis or
even a shadow banking crisis; it is a crisis of the entire
market-based credit system that we have constructed since 1970,
following Martin's 1952 report and Moulton (1918).

The big thing that happened in September 2008 was that the system
of private dealer money market arbitrage, having been under stress
for more than a year, finally froze up completely. And the big
thing about the Fed's response was that it stepped in as the dealer
of last resort to replace the private dealer system.

From the very beginning, the shadow banking system was completely
dependent on a well-functioning dealer system in two senses.

Using this facility, any shadow bank parent that found itself
holding an MBS that it could not repo, could swap that MBS for a
Treasury bond that it could repo. (Initially, the facility was
limited to MBSs rated AAA.)

In fact, however, by lending ninety cents on the dollar on a
nonrecourse basis at a rate of 100 basis points over LIBOR, the Fed
was doing essentially what Lehman and AIG used to do, but with less
leverage and charging a higher price. (The credit risk involved in
such lending was covered by funds allocated from the Treasury's
Troubled Asset Relief Program under section 102, "Insurance of
Troubled Assets.")

Operating as dealer of last resort, the Fed found itself inventing
a new version of the Bagehot principle to guide its operations:
insure freely but at a high premium. As dealer of last resort, what
the Fed was insuring, it is important to emphasize, was not the
payments that the debtor had promised to make but rather the market
value of the promise itself; that is the difference between dealer
of last resort and credit insurer of last resort.

As dealer of last resort, what the Fed was insuring, it is
important to emphasize, was not the payments that the debtor had
promised to make but rather the market value of the promise itself;
that is the difference between dealer of last resort and credit
insurer of last resort.

As in the original Bagehot principle, the idea is for the Fed to
charge a price that provides incentive for the private market to
undercut the Fed once it recovers.

These are bold and innovative experiments, but the basic pattern
comes through clearly. The Fed now recognizes that, for our
market-based credit system, it must remake itself as dealer of last
resort.

More fundamentally, we can look forward to a remake of the
framework for monetary policy, going beyond the precrisis fixation
on tracking the "natural" rate of interest, and taking account for
the first time of the key connection to asset prices that runs from
funding liquidity to market liquidity.

To say that the essence of liquidity is shiftability is not to say
that liquidity is or should be a free good, and it is not to say
that we can safely abstract from liquidity when we consider
questions of monetary policy and financial regulation. This is the
central lesson of the crisis.

What are the implications of the Fed's new role as "dealer of last
resort" for normal times? That is the question that we must
confront looking forward, starting from the realization that our
market-based credit system relies critically on two-way dealer
markets that link funding liquidity in the money market with market
liquidity in the capital market.

That is the question that we must confront looking forward,
starting from the realization that our market-based credit system
relies critically on two-way dealer markets that link funding
liquidity in the money market with market liquidity in the capital
market.

A key lesson of the crisis is that funding liquidity is not enough,
since in a crisis funding liquidity does not get translated into
market liquidity, no matter how hard the Fed works to push funds
out the door.

The job of the Fed is not to eliminate the risk that dealers face
but rather to put bounds on it, to establish an arena within which
private calculation of expected profit and risk makes sense. For
this purpose, it is helpful to think of the dealer of last resort
function as a kind of tail risk insurance. Having set the bounds
that establish the possibility of rational risk calculation, the
Fed can then turn its attention to its more traditional function,
setting the money rate of interest.

The classic money view urged central bankers to attend to the
balance of discipline and elasticity in the money market, in order
to manage the inherent instability of credit. The classic money
view urged central bankers to attend to the balance of discipline
and elasticity in the money market, in order to manage the inherent
instability of credit. Our modern world is not Bagehot's world, by
a long shot, but at the highest level of abstraction the classic
money view holds as true in our world as in his.